STAT 483 - Stochastic Processes and Financial Models

Institution:

Northern Illinois University

Subject:

Description:

Finite-dimensional and steady-state properties of discrete-time Markov chains. Homogeneous, and non-homogeneous, Poisson and compound Poisson processes. Thinning and summing of independent Poisson processes. Brownian motion processes and Ito's lemma. Put-call parity, the binomial model and Black-Scholes formula. Option Greeks, delta-hedging, exotic options and actuarial applications of option pricing. Prerequisites & Notes PRQ: STAT 470 or consent of division. Credits: 4

Credits:

4.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.niu.edu

Phone Number:

(800) 892-3050

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Semester

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